Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0387 |
| Annualized Std Dev | 0.1897 |
| Annualized Sharpe (Rf=0%) | 0.2038 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2862.0000 |
| NAs | 1.0000 |
| Minimum | -0.1098 |
| Quartile 1 | -0.0049 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0061 |
| Maximum | 0.0892 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0119 |
| Skewness | -0.7832 |
| Kurtosis | 10.1765 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0078 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.3865 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0295 |
| Modified VaR (95%) | -0.0195 |
| Modified ES (95%) | -0.0446 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-01-29 | 2020-03-23 | 2021-01-05 | -0.3865 | 740 | 541 | 199 |
| 2014-07-07 | 2016-02-11 | 2017-09-19 | -0.2748 | 809 | 405 | 404 |
| 2011-05-02 | 2012-06-01 | 2013-09-18 | -0.2709 | 600 | 275 | 325 |
| 2010-04-15 | 2010-06-07 | 2010-10-08 | -0.1922 | 124 | 37 | 87 |
| 2010-01-15 | 2010-02-08 | 2010-04-14 | -0.1290 | 61 | 16 | 45 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 | -0.4 | 2.4 |
| 2010 | 2.1 | 1 | 1.6 | -1.3 | -1.1 | 1.3 | -0.1 | 3.5 | 0.8 | -0.5 | 2.8 | 0.7 | 11.2 |
| 2011 | 2.2 | -1.2 | 0.9 | 0.3 | -2.3 | 1 | -0.6 | -1.2 | -3.2 | -3.1 | -0.4 | 0.2 | -7.3 |
| 2012 | 1.7 | 1.2 | 0.8 | 0.4 | -2.2 | 3.5 | 0.1 | 1.2 | 0.9 | 0.9 | 0.2 | 1.6 | 10.4 |
| 2013 | 0.8 | 0.1 | -1.4 | -0.6 | -2.1 | 1.1 | 1.1 | -1 | 0.6 | -0.4 | 0.2 | 0.5 | -1.1 |
| 2014 | -0.8 | 0.2 | 0.5 | 0.5 | -0.1 | 0.8 | -0.6 | 0.1 | -1.1 | 1.7 | -0.2 | -0.6 | 0.5 |
| 2015 | -1.4 | 0 | 0.6 | 0.8 | -0.4 | 0.4 | 0.4 | -3.4 | 0.3 | -0.2 | 1 | -1.2 | -3 |
| 2016 | -0.2 | 2.5 | -1.1 | -0.4 | -0.1 | 0.3 | -0.6 | 0.7 | 0.7 | -0.4 | -0.3 | 0.2 | 1.4 |
| 2017 | 0.4 | 1.1 | -0.2 | 0.5 | 0.8 | 0.1 | 0.5 | 0.2 | 0.6 | 0.2 | -0.2 | 0 | 3.9 |
| 2018 | 0.1 | -1.4 | 1.1 | -0.3 | 0.7 | 0.6 | -0.3 | -0.7 | 0.3 | 1.2 | -0.5 | 0.2 | 1.2 |
| 2019 | 0 | 0.5 | 1.3 | -0.6 | -0.8 | 0.5 | -0.5 | 0.5 | -1 | 1 | -0.8 | 0.4 | 0.5 |
| 2020 | -1.7 | -0.6 | -4.7 | -2.3 | 2.3 | 0.3 | -1.9 | 0.2 | 0.5 | -0.5 | 2.2 | -0.7 | -6.9 |
| 2021 | 1.4 | 2 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-11-03 24.6 SPY 105. 0.0032 -0.0166 0.0061 0.0422 0.0776 -0.235 -0.0784 GLD 106. 0.0241 0.0453
2 2009-11-04 24.9 SPY 105. 0.0026 0.0049 -0.0056 0.0504 0.0449 -0.233 -0.0875 GLD 107. 0.006 0.0632
3 2009-11-05 25.2 SPY 107. 0.0184 0.0019 0.0099 0.0558 0.111 -0.217 -0.0832 GLD 107. -0.0011 0.0418
4 2009-11-06 25.4 SPY 107. 0.0026 0.0345 0.0049 0.0608 0.179 -0.224 -0.0865 GLD 107. 0.0042 0.0478
5 2009-11-09 26.1 SPY 110. 0.0228 0.0503 0.0215 0.0987 0.167 -0.210 -0.0644 GLD 108. 0.0071 0.0408
6 2009-11-10 25.9 SPY 110. 0.0002 0.0472 0.0177 0.0872 0.183 -0.211 -0.0624 GLD 108. 0.0018 0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
